Listar GI-M2NICA - Congresos, conferencias, etc. por autor "Ferreiro Ferreiro, Ana María"
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Efficient Calibration and Pricing in LIBOR Market Models with SABR Stochastic Volatility Using GPUs
Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; López Salas, José Germán; Vázquez, Carlos (Springer, 2016)[Abstract]: In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models, several extensions of LIBOR models to incorporate stochastic volatilities have been ... -
IMEX-RK Finite Volume Methods for Nonlinear 1d Parabolic PDEs. Application to Option Pricing
López Salas, José Germán; Suárez Taboada, María; Castro Díaz, Manuel Jesús; Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio (Springer Nature, 2024-06-06)[Abstract]: The goal of this paper is to develop 2nd order Implicit-Explicit Runge-Kutta (IMEX-RK) finite volume (FV) schemes for solving 1d parabolic PDEs for option pricing, with possible nonlinearities in the source and ... -
Second Order Finite Volume IMEX Runge-Kutta Schemes for Two Dimensional Parabolic PDEs in Finance
López Salas, José Germán; Suárez Taboada, María; Castro Díaz, Manuel Jesús; Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio (Springer Nature, 2024-06-06)[Abstract]: We present a novel and general methodology for building second order finite volume implicit-explicit Runge-Kutta numerical schemes for solving two dimensional financial parabolic PDEs with mixed derivatives. ... -
Speedup of Calibration and Pricing with SABR Models: From Equities to Interest Rates Derivatives
Ferreiro Ferreiro, Ana María; García Rodríguez, José Antonio; López Salas, José Germán; Vázquez, Carlos (Springer, 2015)[Abstract]: In the more classical models for equities and interest rates evolution, constant volatility is usually assumed. However, in practice the volatilities are not constant in financial markets and different models ...